IMPLIEDSCENARIO
Calculate the implied scenario estimates that reconciles with your target scenario probabilities.
Last updated
Calculate the implied scenario estimates that reconciles with your target scenario probabilities.
Last updated
Solve for a modified set of implied scenario estimates given target probabilities. Reconcile your views on target scenario probabilities with implied scenario estimates across economic variables. The function follows the research published in the Journal of Portfolio Management, March 2020.
The following describes the function signature for use in Microsoft Excel's formula bar.
Argument | Description |
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The function returns a matrix of implied estimates, , across economic variables and scenarios. The reconciled probabilities, , of the implied scenario estimates are included in the final row of output.
prTarget
Required. Row vector of target probabilities.
initialScenarioEstimates
Required. Matrix of initial scenario estimates where each column corresponds to a scenario and each row corresponds to an economic variable.
anchor
Required. Column vector of anchor estimates across economic variables.
covariance
Required. Covariance matrix of economic variables.